
import os
import time
import numpy as np
import pandas as pd
import xgboost as xgb
import matplotlib.pyplot as plt
import seaborn as sns
from xgboost import plot_importance, plot_tree
from sklearn.metrics import mean_squared_error, r2_score, mean_absolute_error

from sklearn.linear_model import LinearRegression, Ridge, Lasso, ElasticNet
from sklearn.svm import SVR
from sklearn.neighbors import KNeighborsRegressor
from sklearn.ensemble import GradientBoostingRegressor, AdaBoostRegressor, RandomForestRegressor
from sklearn.tree import DecisionTreeRegressor
from xgboost import XGBRegressor 
from catboost import CatBoostRegressor


from sklearn.preprocessing import MinMaxScaler, StandardScaler
from sklearn.model_selection import train_test_split, GridSearchCV
pd.set_option('display.max_columns', None)


# Chart drawing
import plotly as py
import plotly.io as pio
import plotly.graph_objects as go
from plotly.subplots import make_subplots
from plotly.offline import download_plotlyjs, init_notebook_mode, plot, iplot

# Mute sklearn warnings
from warnings import simplefilter
simplefilter(action='ignore', category=FutureWarning)
simplefilter(action='ignore', category=DeprecationWarning)

# Show charts when running kernel
#init_notebook_mode(connected=True)

# Change default background color for all visualizations
layout=go.Layout(paper_bgcolor='rgba(0,0,0,0)', plot_bgcolor='rgba(250,250,250,0.8)')
fig = go.Figure(layout=layout)
templated_fig = pio.to_templated(fig)
pio.templates['my_template'] = templated_fig.layout.template
pio.templates.default = 'my_template'

import warnings
warnings.filterwarnings("ignore", category=UserWarning, module="xgboost")
warnings.filterwarnings("ignore")


def evaluate_regression_model(y_true, y_pred):
    """
    Calculate and print evaluation metrics for a regression model.

    Parameters:
    - y_true: Actual values.
    - y_pred: Predicted values.

    Returns:
    - Dictionary containing the evaluation metrics.
    """
    # Calculate evaluation metrics
    mse = mean_squared_error(y_true, y_pred)
    rmse = mean_squared_error(y_true, y_pred, squared=False)
    mae = mean_absolute_error(y_true, y_pred)
    r2 = r2_score(y_true, y_pred)

    # Print the results
    print(f'Mean Squared Error (MSE): {np.round(mse,3)}')
    print(f'Root Mean Squared Error (RMSE): {np.round(rmse,3)}')
    print(f'Mean Absolute Error (MAE): {np.round(mae,3)}')
    print(f'R-squared (R2): {np.round(r2,3)}')

    # Return results as a dictionary
    results = {
        'MSE': mse,
        'RMSE': rmse,
        'MAE': mae,
        'R2': r2
    }

    return results


def evaluate_regression_model2(y_true, y_pred):
    """
    Calculate and print evaluation metrics for a regression model.

    Parameters:
    - y_true: Actual values.
    - y_pred: Predicted values.

    Returns:
    - Dictionary containing the evaluation metrics.
    """
    # Calculate evaluation metrics
    mse = mean_squared_error(y_true, y_pred)
    rmse = mean_squared_error(y_true, y_pred, squared=False)
    mae = mean_absolute_error(y_true, y_pred)
    r2 = r2_score(y_true, y_pred)

#     # Print the results
#     print(f'Mean Squared Error (MSE): {np.round(mse,3)}')
#     print(f'Root Mean Squared Error (RMSE): {np.round(rmse,3)}')
#     print(f'Mean Absolute Error (MAE): {np.round(mae,3)}')
#     print(f'R-squared (R2): {np.round(r2,3)}')

    # Return results as a dictionary
    results = {
        'MSE': mse,
        'RMSE': rmse,
        'MAE': mae,
        'R2': r2
    }

    return results


# Returns RSI values
def rsi(df, periods = 14):
    close = df['close']
    close_delta = close.diff()

    # Make two series: one for lower closes and one for higher closes
    up = close_delta.clip(lower=0)
    down = -1 * close_delta.clip(upper=0)
    
    ma_up = up.ewm(com = periods - 1, adjust=True, min_periods = periods).mean()
    ma_down = down.ewm(com = periods - 1, adjust=True, min_periods = periods).mean()

    rsi = ma_up / ma_down
    rsi = 100 - (100/(1 + rsi))
    return rsi


def gain(x):
    return ((x > 0) * x).sum()


def loss(x):
    return ((x < 0) * x).sum()


# Calculate money flow index
# Contributed by Github member and chatgpt
def mfi(df, n=14):
    
    high = df['high']
    low = df['low']
    close = df['close']
    volume = df['volume']
    
    typical_price = (high + low + close) / 3
    money_flow = typical_price * volume
    mf_sign = np.where(typical_price > typical_price.shift(1), 1, -1)
    signed_mf = money_flow * mf_sign

    # Calculate gain and loss using vectorized operations
    positive_mf = np.where(signed_mf > 0, signed_mf, 0)
    negative_mf = np.where(signed_mf < 0, -signed_mf, 0)

    mf_avg_gain = pd.Series(positive_mf).rolling(n, min_periods=1).sum()
    mf_avg_loss = pd.Series(negative_mf).rolling(n, min_periods=1).sum()

    return (100 - 100 / (1 + mf_avg_gain / mf_avg_loss)).to_numpy()


def plot_regression_accuracy(y_true, y_pred):
    """
    Create various plots to evaluate the accuracy of a linear regression model.

    Parameters:
    - y_true: Actual values.
    - y_pred: Predicted values.
    """
    # Scatter Plot
    plt.scatter(y_true, y_pred)
    plt.xlabel('Actual Values')
    plt.ylabel('Predicted Values')
    plt.title('Scatter Plot of Actual vs Predicted Values')
    plt.show()

    # Residual Plot
    residuals = y_true - y_pred
    plt.scatter(y_pred, residuals)
    plt.axhline(y=0, color='r', linestyle='--')
    plt.xlabel('Predicted Values')
    plt.ylabel('Residuals')
    plt.title('Residual Plot')
    plt.show()

    # Distribution of Residuals
    sns.histplot(residuals, kde=True)
    plt.xlabel('Residuals')
    plt.ylabel('Frequency')
    plt.title('Distribution of Residuals')
    plt.show()

    # Predicted vs Actual Line
    plt.plot(y_true, y_true, linestyle='--', color='r', label='Perfect Fit')
    plt.scatter(y_true, y_pred)
    plt.xlabel('Actual Values')
    plt.ylabel('Predicted Values')
    plt.title('Predicted vs Actual Values with Perfect Fit Line')
    plt.legend()
    plt.show()


def plot_predictions(df,prediction):
    plot_test_df= df[df.date.dt.year>=2020]
    plot_test_df['prediction'] = prediction

    fig = make_subplots(rows=2, cols=1)
    fig.add_trace(go.Scatter(x=df.date, y=df.close_1d_next,
                             name='Truth',
                             marker_color='LightSkyBlue'), row=1, col=1)

    fig.add_trace(go.Scatter(x=plot_test_df.date,
                             y=plot_test_df.prediction,
                             name='Prediction',
                             marker_color='MediumPurple'), row=1, col=1)
    
    # Add title and Y-axis title for the first subplot
    fig.update_layout(title_text='Train Data and Test Data', title_x=0.5, title_y=0.9)
    fig.update_yaxes(title_text='Prediction', row=1, col=1)

    fig.add_trace(go.Scatter(x=plot_test_df.date,
                             y=y_test,
                             name='Truth',
                             marker_color='LightSkyBlue',
                             showlegend=False), row=2, col=1)

    fig.add_trace(go.Scatter(x=plot_test_df.date,
                             y=prediction,
                             name='Prediction',
                             marker_color='MediumPurple',
                             showlegend=False), row=2, col=1)
    
    fig.update_yaxes(title_text='Prediction', row=2, col=1)

    fig.show()


def plot_feature_importance(model,X_train,top_features):

    # Get feature importance scores (coefficients)
    feature_importance = model.coef_

    # Create a DataFrame to store feature names and importance scores
    feature_importance_df = pd.DataFrame({'Feature': X_train.columns, 'Importance': np.abs(feature_importance)})

    # Sort features by importance
    feature_importance_df = feature_importance_df.sort_values(by='Importance', ascending=False).reset_index(drop=True)

    top_features = top_features
    # Plot feature importance
    plt.figure(figsize=(20, 6))
    plt.barh(range(len(feature_importance_df[:top_features])), feature_importance_df[:top_features]['Importance'], align="center")
    plt.yticks(range(len(feature_importance_df[:top_features])), labels=feature_importance_df[:top_features]['Feature'])
    plt.ylabel("Features")
    plt.xlabel("Coefficient Magnitude")
    plt.title(f"Top {top_features} Feature Importance Values")
    plt.show()
    
    return feature_importance_df


out_loc  = '/Users/isapocan/Desktop/LSU/data/'


df = pd.read_parquet(out_loc+"stock_1d.parquet")
df.columns = df.columns.str.lower()
df.head()


df = df[df['symbol']=='MDLZ']


df['ema_9'] = df['close'].ewm(9).mean().shift()
df['sma_5'] = df['close'].rolling(5).mean().shift()
df['sma_10'] = df['close'].rolling(10).mean().shift()
df['sma_15'] = df['close'].rolling(15).mean().shift()
df['sma_30'] = df['close'].rolling(30).mean().shift()


df.info()

<class 'pandas.core.frame.DataFrame'>
Int64Index: 2733 entries, 852843 to 855575
Data columns (total 20 columns):
 #   Column                 Non-Null Count  Dtype         
---  ------                 --------------  -----         
 0   date                   2733 non-null   datetime64[ns]
 1   open                   2733 non-null   float64       
 2   high                   2733 non-null   float64       
 3   low                    2733 non-null   float64       
 4   close                  2733 non-null   float64       
 5   adj close              2733 non-null   float64       
 6   volume                 2733 non-null   float64       
 7   symbol                 2733 non-null   object        
 8   security               2733 non-null   object        
 9   gics sector            2733 non-null   object        
 10  gics sub-industry      2733 non-null   object        
 11  headquarters location  2733 non-null   object        
 12  date added             2733 non-null   object        
 13  cik                    2733 non-null   int64         
 14  founded                2733 non-null   object        
 15  ema_9                  2732 non-null   float64       
 16  sma_5                  2728 non-null   float64       
 17  sma_10                 2723 non-null   float64       
 18  sma_15                 2718 non-null   float64       
 19  sma_30                 2703 non-null   float64       
dtypes: datetime64[ns](1), float64(11), int64(1), object(7)
memory usage: 448.4+ KB


df['rsi'] = rsi(df) #.fillna(0)
df['mfi'] = mfi(df, 14)


df[['date','close','ema_9','sma_5','sma_10','sma_15','sma_30','rsi','mfi']]


df[['rsi','mfi']].corr()


EMA_12 = pd.Series(df['close'].ewm(span=12, min_periods=12).mean())
EMA_26 = pd.Series(df['close'].ewm(span=26, min_periods=26).mean())
df['macd'] = pd.Series(EMA_12 - EMA_26)
df['macd_signal'] = pd.Series(df.macd.ewm(span=9, min_periods=9).mean())


df[(~df['macd'].isna()) & (~df['macd_signal'].isna())][['macd','macd_signal']].head()


### predict next day
df['close_1d_next'] = df['close'].shift(-1)
df[['date','close','close_1d_next']].head()


df['close_1d_ago'] = df['close'].shift(1)
df['close_3d_ago'] = df['close'].shift(3)
df['close_5d_ago'] = df['close'].shift(5)
df['close_1w_ago'] = df['close'].shift(7)
df['close_2w_ago'] = df['close'].shift(14)
df['close_3w_ago'] = df['close'].shift(21)
df['close_4w_ago'] = df['close'].shift(28)

df['adj_close_1d_ago'] = df['adj close'].shift(1)
df['adj_close_3d_ago'] = df['adj close'].shift(3)
df['adj_close_5d_ago'] = df['adj close'].shift(5)
df['adj_close_1w_ago'] = df['adj close'].shift(7)
df['adj_close_2w_ago'] = df['adj close'].shift(14)
df['adj_close_3w_ago'] = df['adj close'].shift(21)
df['adj_close_4w_ago'] = df['adj close'].shift(28)

df['open_1d_ago'] = df['open'].shift(1)
df['open_3d_ago'] = df['open'].shift(3)
df['open_5d_ago'] = df['open'].shift(5)
df['open_1w_ago'] = df['open'].shift(7)
df['open_2w_ago'] = df['open'].shift(14)
df['open_3w_ago'] = df['open'].shift(21)
df['open_4w_ago'] = df['open'].shift(28)

df['high_1d_ago'] = df['high'].shift(1)
df['high_3d_ago'] = df['high'].shift(3)
df['high_5d_ago'] = df['high'].shift(5)
df['high_1w_ago'] = df['high'].shift(7)
df['high_2w_ago'] = df['high'].shift(14)
df['high_3w_ago'] = df['high'].shift(21)
df['high_4w_ago'] = df['high'].shift(28)

df['low_1d_ago'] = df['low'].shift(1)
df['low_3d_ago'] = df['low'].shift(3)
df['low_5d_ago'] = df['low'].shift(5)
df['low_1w_ago'] = df['low'].shift(7)
df['low_2w_ago'] = df['low'].shift(14)
df['low_3w_ago'] = df['low'].shift(21)
df['low_4w_ago'] = df['low'].shift(28)

df['volume_1d_ago'] = df['volume'].shift(1)
df['volume_3d_ago'] = df['volume'].shift(3)
df['volume_5d_ago'] = df['volume'].shift(5)
df['volume_1w_ago'] = df['volume'].shift(7)
df['volume_2w_ago'] = df['volume'].shift(14)
df['volume_3w_ago'] = df['volume'].shift(21)
df['volume_4w_ago'] = df['volume'].shift(28)

df['open_3d_avg'] = df['open'].rolling(window=3).mean()
df['open_5d_avg'] = df['open'].rolling(window=5).mean()
df['open_7d_avg'] = df['open'].rolling(window=7).mean()
df['open_10d_avg'] = df['open'].rolling(window=10).mean()
df['open_15d_avg'] = df['open'].rolling(window=15).mean()
df['open_30d_avg'] = df['open'].rolling(window=30).mean()

df['high_3d_avg'] = df['high'].rolling(window=3).mean()
df['high_5d_avg'] = df['high'].rolling(window=5).mean()
df['high_7d_avg'] = df['high'].rolling(window=7).mean()
df['high_10d_avg'] = df['high'].rolling(window=10).mean()
df['high_15d_avg'] = df['high'].rolling(window=15).mean()
df['high_30d_avg'] = df['high'].rolling(window=30).mean()

df['low_3d_avg'] = df['low'].rolling(window=3).mean()
df['low_5d_avg'] = df['low'].rolling(window=5).mean()
df['low_7d_avg'] = df['low'].rolling(window=7).mean()
df['low_10d_avg'] = df['low'].rolling(window=10).mean()
df['low_15d_avg'] = df['low'].rolling(window=15).mean()
df['low_30d_avg'] = df['low'].rolling(window=30).mean()

df['volume_3d_avg'] = df['volume'].rolling(window=3).mean()
df['volume_5d_avg'] = df['volume'].rolling(window=5).mean()
df['volume_7d_avg'] = df['volume'].rolling(window=7).mean()
df['volume_10d_avg'] = df['volume'].rolling(window=10).mean()
df['volume_15d_avg'] = df['volume'].rolling(window=15).mean()
df['volume_30d_avg'] = df['volume'].rolling(window=30).mean()

df['adj_close_3d_avg'] = df['adj close'].rolling(window=3).mean()
df['adj_close_5d_avg'] = df['adj close'].rolling(window=5).mean()
df['adj_close_7d_avg'] = df['adj close'].rolling(window=7).mean()
df['adj_close_10d_avg'] = df['adj close'].rolling(window=10).mean()
df['adj_close_15d_avg'] = df['adj close'].rolling(window=15).mean()
df['adj_close_30d_avg'] = df['adj close'].rolling(window=30).mean()


df = df.dropna().reset_index(drop=True)
df.head()


# # Calculate the index for the 70-30 split
# split_index = int(0.7 * len(df))

# # Split the DataFrame into training and testing sets
# train_df = df.iloc[:split_index]
# test_df = df.iloc[split_index:]

# Split the DataFrame into training and testing sets
train_df = df[df.date.dt.year<2020]
test_df = df[df.date.dt.year>=2020]



print(f"Train days: {len(train_df)}, Test days: {len(test_df)}")

fig = go.Figure()
fig.add_trace(go.Scatter(x=train_df.date, y=train_df.close_1d_next, name='Training'))
fig.add_trace(go.Scatter(x=test_df.date,  y=test_df.close_1d_next,  name='Test'))
fig.show()

Train days: 1729, Test days: 970


drop_cols1 = ['date','open','high','low','close','adj close','volume','symbol','security',
 'gics sector','gics sub-industry','headquarters location','date added','cik','founded']

train_df = train_df.drop(drop_cols1, 1)

test_df  = test_df.drop(drop_cols1, 1)

# target column is next day's close price
y_train = train_df['close_1d_next'].copy()
X_train = train_df.drop(['close_1d_next'], 1)

# target column is next day's close price
y_test  = test_df['close_1d_next'].copy()
X_test  = test_df.drop(['close_1d_next'], 1)


scaler = StandardScaler()
X_train_scaled = scaler.fit_transform(X_train)
X_test_scaled = scaler.transform(X_test)


X_train.shape, X_train_scaled.shape, X_test.shape, X_test_scaled.shape,

((1729, 81), (1729, 81), (970, 81), (970, 81))


def train_and_evaluate_models(X_train_scaled,y_train,X_test_scaled,y_test):
    """
    Train and evaluate multiple regression models on a given dataframe.

    Parameters:
    - dataframe: Pandas DataFrame containing the dataset.
    - target_column: Name of the target column (dependent variable).
    - features_columns: List of column names used as features (independent variables).

    Returns:
    - A DataFrame containing evaluation metrics for each model.
    """

    # Split the data into features (X) and target variable (y)
#     X = dataframe[features_columns]
#     y = dataframe[target_column]

    # Split the data into training and testing sets (70-30 split)
    #X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.3, random_state=42)

    
#     scaler = StandardScaler()
#     X_train_scaled = scaler.fit_transform(X_train)
#     X_test_scaled = scaler.transform(X_test)


    # Initialize the models
    models = {
        'Linear Regression': LinearRegression(),
        'Ridge Regression': Ridge(),
        'Lasso Regression': Lasso(),
        'Elastic Net': ElasticNet(),
        'SVR': SVR(),
        'K-Neighbors Regressor': KNeighborsRegressor(),
        'Decision Tree': DecisionTreeRegressor(),
        'Random Forest': RandomForestRegressor(),
        'Gradient Boosting': GradientBoostingRegressor(),
        'AdaBoost': AdaBoostRegressor(),
        'XGBoost': XGBRegressor(),
        'CatBoost': CatBoostRegressor()
    }

    # Initialize a DataFrame to store the evaluation metrics
    metrics_df = pd.DataFrame(columns=['Model', 'Mean Squared Error', 'Mean Absolute Error', 'R2 Score'])

    # Train and evaluate each model
    for model_name, model in models.items():
        start_time = time.time() 
       
    # Train the model
        model.fit(X_train_scaled, y_train)
        
        end_time = time.time()  # Record the end time

        training_time = end_time - start_time

        # Make predictions
        y_pred = model.predict(X_test_scaled)

        # Evaluate the model
        mse = mean_squared_error(y_test, y_pred)
        mae = mean_absolute_error(y_test, y_pred)
        r2 = r2_score(y_test, y_pred)

        # Store the metrics in the DataFrame
        metrics_df = metrics_df.append({
            'Model': model_name,
            'Mean Squared Error': mse,
            'Mean Absolute Error': mae,
            'R2 Score': r2,
            'Training Time (s)': training_time
        }, ignore_index=True)
        metrics_df = metrics_df.sort_values(by=['R2 Score'],ascending=False)
    return metrics_df


df_compare = train_and_evaluate_models(X_train,y_train,X_test,y_test)

Learning rate set to 0.044643
0:	learn: 6.0670144	total: 64.1ms	remaining: 1m 4s
1:	learn: 5.8228277	total: 67.3ms	remaining: 33.6s
2:	learn: 5.5825438	total: 70.6ms	remaining: 23.5s
3:	learn: 5.3589845	total: 74.2ms	remaining: 18.5s
4:	learn: 5.1400669	total: 78.2ms	remaining: 15.6s
5:	learn: 4.9338718	total: 81.7ms	remaining: 13.5s
6:	learn: 4.7348036	total: 85ms	remaining: 12.1s
7:	learn: 4.5462470	total: 88.4ms	remaining: 11s
8:	learn: 4.3663666	total: 92ms	remaining: 10.1s
9:	learn: 4.1940087	total: 95.6ms	remaining: 9.47s
10:	learn: 4.0326464	total: 99.2ms	remaining: 8.92s
11:	learn: 3.8728104	total: 103ms	remaining: 8.46s
12:	learn: 3.7241421	total: 106ms	remaining: 8.06s
13:	learn: 3.5819820	total: 110ms	remaining: 7.75s
14:	learn: 3.4443416	total: 113ms	remaining: 7.45s
15:	learn: 3.3131010	total: 117ms	remaining: 7.2s
16:	learn: 3.1862951	total: 121ms	remaining: 6.97s
17:	learn: 3.0636007	total: 124ms	remaining: 6.77s
18:	learn: 2.9525545	total: 128ms	remaining: 6.6s
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20:	learn: 2.7377198	total: 135ms	remaining: 6.29s
21:	learn: 2.6359381	total: 139ms	remaining: 6.16s
22:	learn: 2.5393906	total: 142ms	remaining: 6.04s
23:	learn: 2.4447919	total: 146ms	remaining: 5.92s
24:	learn: 2.3592925	total: 149ms	remaining: 5.81s
25:	learn: 2.2778166	total: 153ms	remaining: 5.73s
26:	learn: 2.1955454	total: 157ms	remaining: 5.65s
27:	learn: 2.1181936	total: 160ms	remaining: 5.56s
28:	learn: 2.0456841	total: 163ms	remaining: 5.47s
29:	learn: 1.9773187	total: 167ms	remaining: 5.4s
30:	learn: 1.9140404	total: 171ms	remaining: 5.33s
31:	learn: 1.8503968	total: 174ms	remaining: 5.26s
32:	learn: 1.7872718	total: 178ms	remaining: 5.2s
33:	learn: 1.7298101	total: 181ms	remaining: 5.13s
34:	learn: 1.6773427	total: 184ms	remaining: 5.07s
35:	learn: 1.6263746	total: 187ms	remaining: 5.02s
36:	learn: 1.5799050	total: 191ms	remaining: 4.98s
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45:	learn: 1.2267358	total: 225ms	remaining: 4.66s
46:	learn: 1.1934982	total: 228ms	remaining: 4.62s
47:	learn: 1.1672852	total: 231ms	remaining: 4.58s
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979:	learn: 0.2118347	total: 3.28s	remaining: 66.9ms
980:	learn: 0.2114822	total: 3.28s	remaining: 63.6ms
981:	learn: 0.2112691	total: 3.29s	remaining: 60.2ms
982:	learn: 0.2110438	total: 3.29s	remaining: 56.9ms
983:	learn: 0.2108138	total: 3.29s	remaining: 53.5ms
984:	learn: 0.2106651	total: 3.29s	remaining: 50.2ms
985:	learn: 0.2104341	total: 3.3s	remaining: 46.9ms
986:	learn: 0.2104232	total: 3.3s	remaining: 43.5ms
987:	learn: 0.2103155	total: 3.31s	remaining: 40.2ms
988:	learn: 0.2100220	total: 3.31s	remaining: 36.8ms
989:	learn: 0.2098433	total: 3.31s	remaining: 33.5ms
990:	learn: 0.2094910	total: 3.32s	remaining: 30.1ms
991:	learn: 0.2094807	total: 3.32s	remaining: 26.8ms
992:	learn: 0.2093171	total: 3.33s	remaining: 23.4ms
993:	learn: 0.2090154	total: 3.33s	remaining: 20.1ms
994:	learn: 0.2088564	total: 3.33s	remaining: 16.7ms
995:	learn: 0.2085709	total: 3.33s	remaining: 13.4ms
996:	learn: 0.2083527	total: 3.34s	remaining: 10ms
997:	learn: 0.2080872	total: 3.34s	remaining: 6.7ms
998:	learn: 0.2080622	total: 3.35s	remaining: 3.35ms
999:	learn: 0.2077081	total: 3.35s	remaining: 0us


df_compare


# Train the linear regression model
lr_model_base = LinearRegression()
lr_model_base.fit(X_train_scaled, y_train)

# Make predictions on the scaled test set
lr_pred_base = lr_model_base.predict(X_test_scaled)


prediction_df = pd.DataFrame()
prediction_df['date'] = df[df.date.dt.year>=2020]['date']
prediction_df['y_test'] = y_test
prediction_df['lr_pred_base'] = lr_pred_base

prediction_df.head()


lr_score_base = evaluate_regression_model(y_test, lr_pred_base)

Mean Squared Error (MSE): 0.768
Root Mean Squared Error (RMSE): 0.876
Mean Absolute Error (MAE): 0.612
R-squared (R2): 0.981


lr_score_base

{'MSE': 0.7677881743434356,
 'RMSE': 0.8762352277462003,
 'MAE': 0.612101458244357,
 'R2': 0.9812322205481261}


plot_regression_accuracy(y_test, lr_pred_base)


plot_predictions(df,lr_pred_base)


lr_base_feature_importance = plot_feature_importance(lr_model_base,X_train,20)


lr_base_feature_importance[:15]


keep_cols20 = lr_base_feature_importance[:20]['Feature'].tolist()

X_train20 = X_train[keep_cols20]
X_test20 = X_test[keep_cols20]

scaler = StandardScaler()
X_train_scaled20 = scaler.fit_transform(X_train20)
X_test_scaled20 = scaler.transform(X_test20)


# Train the linear regression model
lr_model20 = LinearRegression()
lr_model20.fit(X_train_scaled20, y_train)

# Make predictions on the scaled test set
lr_pred20 = lr_model20.predict(X_test_scaled20)
lr_score20 = evaluate_regression_model(y_test, lr_pred20)

Mean Squared Error (MSE): 0.777
Root Mean Squared Error (RMSE): 0.882
Mean Absolute Error (MAE): 0.611
R-squared (R2): 0.981


prediction_df['lr_pred20'] = lr_pred20

prediction_df.head()


lr_score20

{'MSE': 0.7771456769467653,
 'RMSE': 0.8815586633609617,
 'MAE': 0.6109586051263984,
 'R2': 0.9810034861771783}


plot_feature_importance(lr_model20,X_train20,20)


keep_cols15 = lr_base_feature_importance[:15]['Feature'].tolist()

X_train15 = X_train[keep_cols15]
X_test15 = X_test[keep_cols15]

scaler = StandardScaler()
X_train_scaled15 = scaler.fit_transform(X_train15)
X_test_scaled15 = scaler.transform(X_test15)


# Train the linear regression model
lr_model15 = LinearRegression()
lr_model15.fit(X_train_scaled15, y_train)

# Make predictions on the scaled test set
lr_pred15 = lr_model15.predict(X_test_scaled15)
lr_score15 = evaluate_regression_model(y_test, lr_pred15)

Mean Squared Error (MSE): 0.764
Root Mean Squared Error (RMSE): 0.874
Mean Absolute Error (MAE): 0.608
R-squared (R2): 0.981


prediction_df['lr_pred15'] = lr_pred15

prediction_df.head()


lr_score15

{'MSE': 0.76431207310404,
 'RMSE': 0.874249434145679,
 'MAE': 0.6082563126517426,
 'R2': 0.9813171902098028}


plot_feature_importance(lr_model15,X_train15,15)


keep_cols10 = lr_base_feature_importance[:10]['Feature'].tolist()

X_train10 = X_train[keep_cols10]
X_test10 = X_test[keep_cols10]

scaler = StandardScaler()
X_train_scaled10 = scaler.fit_transform(X_train10)
X_test_scaled10 = scaler.transform(X_test10)


# Train the linear regression model
lr_model10 = LinearRegression()
lr_model10.fit(X_train_scaled10, y_train)

# Make predictions on the scaled test set
lr_pred10 = lr_model10.predict(X_test_scaled10)
lr_score10 = evaluate_regression_model(y_test, lr_pred10)

Mean Squared Error (MSE): 0.843
Root Mean Squared Error (RMSE): 0.918
Mean Absolute Error (MAE): 0.634
R-squared (R2): 0.979


prediction_df['lr_pred10'] = lr_pred10

prediction_df.head()


lr_score10

{'MSE': 0.8431161224362277,
 'RMSE': 0.91821354947323,
 'MAE': 0.6337464901517136,
 'R2': 0.9793909075875864}


plot_feature_importance(lr_model10,X_train10,10)


ridge_model = Ridge()

    # Define the hyperparameter grid to search
param_grid = {'alpha': [0.001, 0.01, 0.1, 1, 10, 100]}

    # Perform GridSearchCV for hyperparameter tuning
grid_search = GridSearchCV(estimator=ridge_model, param_grid=param_grid, scoring='neg_mean_squared_error', cv=5)
grid_search.fit(X_train_scaled, y_train)

    # Get the best model
best_ridge_model = grid_search.best_estimator_

    # Make predictions on the test set
ridge_pred_base = best_ridge_model.predict(X_test_scaled)

    # Evaluate the best model
mse = mean_squared_error(y_test, ridge_pred_base)
rmse = mean_squared_error(y_test, ridge_pred_base, squared=False)
mae = mean_absolute_error(y_test, ridge_pred_base)
r2 = r2_score(y_test, ridge_pred_base)

print("Best Ridge Regression Model:")
print(f"Best alpha: {best_ridge_model.alpha}")
print(f'Root Mean Squared Error (RMSE): {np.round(rmse,3)}')
print(f"Mean Squared Error: {np.round(mse,3)}")
print(f"Mean Absolute Error: {np.round(mae,3)}")
print(f"R2 Score: {np.round(r2,3)}")

ridge_score = {
        'MSE': mse,
        'RMSE': rmse,
        'MAE': mae,
        'R2': r2
    }

Best Ridge Regression Model:
Best alpha: 0.001
Root Mean Squared Error (RMSE): 0.872
Mean Squared Error: 0.76
Mean Absolute Error: 0.609
R2 Score: 0.981


ridge_base_feature_importance = plot_feature_importance(best_ridge_model,X_train,20)


ridge_base_feature_importance[:20]


prediction_df['ridge_pred_base'] = ridge_pred_base

prediction_df.head()


keep_cols20 = ridge_base_feature_importance[:20]['Feature'].tolist()

X_train20 = X_train[keep_cols20]
X_test20 = X_test[keep_cols20]

scaler = StandardScaler()
X_train_scaled20 = scaler.fit_transform(X_train20)
X_test_scaled20 = scaler.transform(X_test20)

# Train model
ridge_model20 = Ridge(alpha=0.001)
ridge_model20.fit(X_train_scaled20, y_train)


# Make predictions on the scaled test set
ridge_pred20 = ridge_model20.predict(X_test_scaled20)
ridge_score20 = evaluate_regression_model(y_test, ridge_pred20)

Mean Squared Error (MSE): 0.771
Root Mean Squared Error (RMSE): 0.878
Mean Absolute Error (MAE): 0.609
R-squared (R2): 0.981


plot_feature_importance(ridge_model20,X_train20,20)


prediction_df['ridge_pred20'] = ridge_pred20

prediction_df.head()


lasso_model = Lasso()

param_grid = {'alpha': [0.001, 0.01, 0.1, 1, 10, 100]}

    # Perform GridSearchCV for hyperparameter tuning
grid_search = GridSearchCV(estimator=lasso_model, param_grid=param_grid, scoring='neg_mean_squared_error', cv=5)
grid_search.fit(X_train_scaled, y_train)

    # Get the best model
best_lasso_model = grid_search.best_estimator_

    # Make predictions on the test set
lasso_pred_base = best_lasso_model.predict(X_test_scaled)

    # Evaluate the best model
mse = mean_squared_error(y_test, lasso_pred_base)
rmse = mean_squared_error(y_test, lasso_pred_base, squared=False)
mae = mean_absolute_error(y_test, lasso_pred_base)
r2 = r2_score(y_test, lasso_pred_base)

print("Best Lasso Regression Model:")
print(f"Best alpha: {best_lasso_model.alpha}")
print(f'Root Mean Squared Error (RMSE): {np.round(rmse,3)}')
print(f"Mean Squared Error: {np.round(mse,3)}")
print(f"Mean Absolute Error: {np.round(mae,3)}")
print(f"R2 Score: {np.round(r2,3)}")

lasso_score = {
        'MSE': mse,
        'RMSE': rmse,
        'MAE': mae,
        'R2': r2
    }

Best Lasso Regression Model:
Best alpha: 0.001
Root Mean Squared Error (RMSE): 0.967
Mean Squared Error: 0.935
Mean Absolute Error: 0.662
R2 Score: 0.977


lasso_base_feature_importance = plot_feature_importance(best_lasso_model,X_train,20)


lasso_base_feature_importance[:20]


prediction_df['lasso_pred_base'] = lasso_pred_base

prediction_df.head()


keep_cols20 = lasso_base_feature_importance[:20]['Feature'].tolist()

X_train20 = X_train[keep_cols20]
X_test20 = X_test[keep_cols20]

scaler = StandardScaler()
X_train_scaled20 = scaler.fit_transform(X_train20)
X_test_scaled20 = scaler.transform(X_test20)

# Train model
lasso_model20 = Lasso(alpha=0.001)
lasso_model20.fit(X_train_scaled20, y_train)


# Make predictions on the scaled test set
lasso_pred20 = lasso_model20.predict(X_test_scaled20)
lasso_score20 = evaluate_regression_model(y_test, lasso_pred20)

Mean Squared Error (MSE): 0.95
Root Mean Squared Error (RMSE): 0.975
Mean Absolute Error (MAE): 0.667
R-squared (R2): 0.977


plot_feature_importance(lasso_model20,X_train20,20)


prediction_df['lasso_pred20'] = lasso_pred20

prediction_df.head()


elastic_net_model = ElasticNet()

    # Define the hyperparameter grid to search
param_grid = {
        'alpha': [0.001, 0.01, 0.1, 1, 10, 100],
        'l1_ratio': [0.1, 0.3, 0.5, 0.7, 0.9]
    }

    # Perform GridSearchCV for hyperparameter tuning
grid_search = GridSearchCV(estimator=elastic_net_model, param_grid=param_grid, scoring='neg_mean_squared_error', cv=5)
grid_search.fit(X_train_scaled, y_train)

    # Get the best model
best_elastic_net_model = grid_search.best_estimator_

    # Make predictions on the test set
elastic_pred_base = best_elastic_net_model.predict(X_test_scaled)

    # Evaluate the best model
mse = mean_squared_error(y_test, elastic_pred_base)
rmse = mean_squared_error(y_test, elastic_pred_base, squared=False)
mae = mean_absolute_error(y_test, elastic_pred_base)
r2 = r2_score(y_test, elastic_pred_base)

print("Best Elastic Net Model:")
print(f"Best alpha: {best_elastic_net_model.alpha}")
print(f"Best l1_ratio: {best_elastic_net_model.l1_ratio}")
print(f'Root Mean Squared Error (RMSE): {np.round(rmse,3)}')
print(f"Mean Squared Error: {np.round(mse,3)}")
print(f"Mean Absolute Error: {np.round(mae,3)}")
print(f"R2 Score: {np.round(r2,3)}")

elastic_score = {
        'MSE': mse,
        'RMSE': rmse,
        'MAE': mae,
        'R2': r2
    }

Best Elastic Net Model:
Best alpha: 0.001
Best l1_ratio: 0.9
Root Mean Squared Error (RMSE): 0.964
Mean Squared Error: 0.929
Mean Absolute Error: 0.66
R2 Score: 0.977


elastic_base_feature_importance = plot_feature_importance(best_elastic_net_model,X_train,20)


elastic_base_feature_importance[:20]


prediction_df['elastic_pred_base'] = elastic_pred_base

prediction_df.head()


keep_cols20 = elastic_base_feature_importance[:20]['Feature'].tolist()

X_train20 = X_train[keep_cols20]
X_test20 = X_test[keep_cols20]

scaler = StandardScaler()
X_train_scaled20 = scaler.fit_transform(X_train20)
X_test_scaled20 = scaler.transform(X_test20)

# Train model
elastic_model20 = ElasticNet(alpha=0.001,l1_ratio =  0.9)
elastic_model20.fit(X_train_scaled20, y_train)


# Make predictions on the scaled test set
elastic_pred20 = elastic_model20.predict(X_test_scaled20)
elastic_score20 = evaluate_regression_model(y_test, elastic_pred20)

Mean Squared Error (MSE): 0.96
Root Mean Squared Error (RMSE): 0.98
Mean Absolute Error (MAE): 0.667
R-squared (R2): 0.977


plot_feature_importance(elastic_model20,X_train20,20)


prediction_df['elastic_pred20'] = elastic_pred20

prediction_df.head()


ela_df = pd.DataFrame([elastic_score.keys(),elastic_score.values()])
ela_df.columns = ela_df.iloc[0]
ela_df = ela_df[1:].reset_index(drop=True)
ela_df['Model'] = 'Elastic_Net with All Features'

ela_20_df = pd.DataFrame([elastic_score20.keys(),elastic_score20.values()])
ela_20_df.columns = ela_20_df.iloc[0]
ela_20_df = ela_20_df[1:].reset_index(drop=True)
ela_20_df['Model'] = 'Elastic_Net with Top 20 Features'

lasso_df = pd.DataFrame([lasso_score.keys(),lasso_score.values()])
lasso_df.columns = lasso_df.iloc[0]
lasso_df = lasso_df[1:].reset_index(drop=True)
lasso_df['Model'] = 'Lasso with All Features'

lasso_20_df = pd.DataFrame([lasso_score20.keys(),lasso_score20.values()])
lasso_20_df.columns = lasso_20_df.iloc[0]
lasso_20_df = lasso_20_df[1:].reset_index(drop=True)
lasso_20_df['Model'] = 'Lasso with Top 20 Features'

ridge_df = pd.DataFrame([ridge_score.keys(),ridge_score.values()])
ridge_df.columns = ridge_df.iloc[0]
ridge_df = ridge_df[1:].reset_index(drop=True)
ridge_df['Model'] = 'Ridge with All Features'

ridge_20_df = pd.DataFrame([ridge_score20.keys(),ridge_score20.values()])
ridge_20_df.columns = ridge_20_df.iloc[0]
ridge_20_df = ridge_20_df[1:].reset_index(drop=True)
ridge_20_df['Model'] = 'Ridge with Top 20 Features'

lr_base_df = pd.DataFrame([lr_score_base.keys(),lr_score_base.values()])
lr_base_df.columns = lr_base_df.iloc[0]
lr_base_df = lr_base_df[1:].reset_index(drop=True)
lr_base_df['Model'] = 'Linear Reg. with All Features'

lr_20_df = pd.DataFrame([lr_score20.keys(),lr_score20.values()])
lr_20_df.columns = lr_20_df.iloc[0]
lr_20_df = lr_20_df[1:].reset_index(drop=True)
lr_20_df['Model'] = 'Linear Reg. with Top 20 Features'

lr_15_df = pd.DataFrame([lr_score15.keys(),lr_score15.values()])
lr_15_df.columns = lr_15_df.iloc[0]
lr_15_df = lr_15_df[1:].reset_index(drop=True)
lr_15_df['Model'] = 'Linear Reg. with Top 15 Features'

lr_10_df = pd.DataFrame([lr_score10.keys(),lr_score10.values()])
lr_10_df.columns = lr_10_df.iloc[0]
lr_10_df = lr_10_df[1:].reset_index(drop=True)
lr_10_df['Model'] = 'Linear Reg. with Top 10 Features'

df_compare = pd.concat([ela_df,lasso_df,ridge_df,ela_20_df,lasso_20_df,ridge_20_df,
                        lr_base_df,lr_20_df,lr_15_df,lr_10_df]).sort_values(by=['R2'],ascending=False).reset_index(drop=True)

df_compare


prediction_df


plt.figure(figsize=(20, 10))
sns.lineplot(x = prediction_df.date, y=prediction_df.y_test,label='y_test')

sns.lineplot(x = prediction_df.date, y=prediction_df.lr_pred_base,label='lr_pred_base')
sns.lineplot(x = prediction_df.date, y=prediction_df.lr_pred20,label='lr_pred20')
sns.lineplot(x = prediction_df.date, y=prediction_df.lr_pred15,label='lr_pred15')
sns.lineplot(x = prediction_df.date, y=prediction_df.lr_pred10,label='lr_pred10')

sns.lineplot(x = prediction_df.date, y=prediction_df.ridge_pred_base,label='ridge_pred_base')
sns.lineplot(x = prediction_df.date, y=prediction_df.ridge_pred20,label='ridge_pred20')

sns.lineplot(x = prediction_df.date, y=prediction_df.lasso_pred_base,label='lasso_pred_base')
sns.lineplot(x = prediction_df.date, y=prediction_df.lasso_pred20,label='lasso_pred20')

sns.lineplot(x = prediction_df.date, y=prediction_df.elastic_pred_base,label='elastic_pred_base')
sns.lineplot(x = prediction_df.date, y=prediction_df.elastic_pred20,label='elastic_pred20')

plt.legend(prop={'size': 14, 'weight': 'bold'})
plt.title('Model Prediction Comparison', fontsize=16)
plt.ylabel('Prediction', fontsize=14)
plt.xlabel('Date', fontsize=14)

plt.show()


plt.figure(figsize=(20, 10))
sns.lineplot(x = prediction_df.date, y=prediction_df.y_test,label='y_test')

sns.lineplot(x = prediction_df.date, y=prediction_df.lr_pred_base,label='lr_pred_base')
sns.lineplot(x = prediction_df.date, y=prediction_df.lr_pred20,label='lr_pred20')
sns.lineplot(x = prediction_df.date, y=prediction_df.lr_pred15,label='lr_pred15')
sns.lineplot(x = prediction_df.date, y=prediction_df.lr_pred10,label='lr_pred10')

plt.legend(prop={'size': 14, 'weight': 'bold'})
plt.title('Model Prediction Comparison', fontsize=16)
plt.ylabel('Prediction', fontsize=14)
plt.xlabel('Date', fontsize=14)

plt.show()


plt.figure(figsize=(20, 10))
sns.lineplot(x = prediction_df.date, y=prediction_df.y_test,label='y_test')

sns.lineplot(x = prediction_df.date, y=prediction_df.ridge_pred_base,label='ridge_pred_base')
sns.lineplot(x = prediction_df.date, y=prediction_df.ridge_pred20,label='ridge_pred20')

plt.legend(prop={'size': 14, 'weight': 'bold'})
plt.title('Model Prediction Comparison', fontsize=16)
plt.ylabel('Prediction', fontsize=14)
plt.xlabel('Date', fontsize=14)

plt.show()


plt.figure(figsize=(20, 10))
sns.lineplot(x = prediction_df.date, y=prediction_df.y_test,label='y_test')

sns.lineplot(x = prediction_df.date, y=prediction_df.lasso_pred_base,label='lasso_pred_base')
sns.lineplot(x = prediction_df.date, y=prediction_df.lasso_pred20,label='lasso_pred20')

plt.legend(prop={'size': 14, 'weight': 'bold'})
plt.title('Model Prediction Comparison', fontsize=16)
plt.ylabel('Prediction', fontsize=14)
plt.xlabel('Date', fontsize=14)

plt.show()


plt.figure(figsize=(20, 10))
sns.lineplot(x = prediction_df.date, y=prediction_df.y_test,label='y_test')

sns.lineplot(x = prediction_df.date, y=prediction_df.elastic_pred_base,label='elastic_pred_base')
sns.lineplot(x = prediction_df.date, y=prediction_df.elastic_pred20,label='elastic_pred20')

plt.legend(prop={'size': 14, 'weight': 'bold'})
plt.title('Model Prediction Comparison', fontsize=16)
plt.ylabel('Prediction', fontsize=14)
plt.xlabel('Date', fontsize=14)

plt.show()


# target column is next day's close price
y_train = train_df['close_1d_next'].copy()
X_train = train_df.drop(['close_1d_next'], 1)

# target column is next day's close price
y_test  = test_df['close_1d_next'].copy()
X_test  = test_df.drop(['close_1d_next'], 1)


def train_ridge_regression(X_train,X_test,y_train,y_test):
    
    ridge_model = Ridge(alpha= 0.001)
    scaler = StandardScaler()
    X_train_scaled = scaler.fit_transform(X_train)
    X_test_scaled = scaler.transform(X_test)

    # Train model
    ridge_model = Ridge(alpha=0.001)
    ridge_model.fit(X_train_scaled, y_train)


    # Make predictions on the scaled test set
    ridge_pred = ridge_model.predict(X_test_scaled)
    ridge_score = evaluate_regression_model2(y_test, ridge_pred)

    return ridge_model,ridge_pred,ridge_score


ridge_model, ridge_pred, ridge_score = train_ridge_regression(X_train,X_test,y_train,y_test)


ridge_score

{'MSE': 0.7601496984667533,
 'RMSE': 0.8718656424396785,
 'MAE': 0.6088603450778082,
 'R2': 0.981418935107418}


ridge_pred[:15]

array([54.23394893, 54.45987053, 54.36321399, 53.87966228, 54.1735875 ,
       54.09581315, 54.16195972, 54.70517195, 54.39406442, 54.76593117,
       55.13141383, 55.07110404, 55.40303391, 55.39633407, 55.50978756])


plot_regression_accuracy(y_test, ridge_pred)


plot_predictions(df,ridge_pred)


def preprocess_data(df):
    df['ema_9'] = df['close'].ewm(9).mean().shift()
    df['sma_5'] = df['close'].rolling(5).mean().shift()
    df['sma_10'] = df['close'].rolling(10).mean().shift()
    df['sma_15'] = df['close'].rolling(15).mean().shift()
    df['sma_30'] = df['close'].rolling(30).mean().shift()
    df['rsi'] = rsi(df) #.fillna(0)
    df['mfi'] = mfi(df, 14)
    EMA_12 = pd.Series(df['close'].ewm(span=12, min_periods=12).mean())
    EMA_26 = pd.Series(df['close'].ewm(span=26, min_periods=26).mean())
    df['macd'] = pd.Series(EMA_12 - EMA_26)
    df['macd_signal'] = pd.Series(df.macd.ewm(span=9, min_periods=9).mean())
    df['close_1d_next'] = df['close'].shift(-1)

    df['close_1d_ago'] = df['close'].shift(1)
    df['close_3d_ago'] = df['close'].shift(3)
    df['close_5d_ago'] = df['close'].shift(5)
    df['close_1w_ago'] = df['close'].shift(7)
    df['close_2w_ago'] = df['close'].shift(14)
    df['close_3w_ago'] = df['close'].shift(21)
    df['close_4w_ago'] = df['close'].shift(28)

    df['adj_close_1d_ago'] = df['adj close'].shift(1)
    df['adj_close_3d_ago'] = df['adj close'].shift(3)
    df['adj_close_5d_ago'] = df['adj close'].shift(5)
    df['adj_close_1w_ago'] = df['adj close'].shift(7)
    df['adj_close_2w_ago'] = df['adj close'].shift(14)
    df['adj_close_3w_ago'] = df['adj close'].shift(21)
    df['adj_close_4w_ago'] = df['adj close'].shift(28)

    df['open_1d_ago'] = df['open'].shift(1)
    df['open_3d_ago'] = df['open'].shift(3)
    df['open_5d_ago'] = df['open'].shift(5)
    df['open_1w_ago'] = df['open'].shift(7)
    df['open_2w_ago'] = df['open'].shift(14)
    df['open_3w_ago'] = df['open'].shift(21)
    df['open_4w_ago'] = df['open'].shift(28)

    df['high_1d_ago'] = df['high'].shift(1)
    df['high_3d_ago'] = df['high'].shift(3)
    df['high_5d_ago'] = df['high'].shift(5)
    df['high_1w_ago'] = df['high'].shift(7)
    df['high_2w_ago'] = df['high'].shift(14)
    df['high_3w_ago'] = df['high'].shift(21)
    df['high_4w_ago'] = df['high'].shift(28)

    df['low_1d_ago'] = df['low'].shift(1)
    df['low_3d_ago'] = df['low'].shift(3)
    df['low_5d_ago'] = df['low'].shift(5)
    df['low_1w_ago'] = df['low'].shift(7)
    df['low_2w_ago'] = df['low'].shift(14)
    df['low_3w_ago'] = df['low'].shift(21)
    df['low_4w_ago'] = df['low'].shift(28)

    df['volume_1d_ago'] = df['volume'].shift(1)
    df['volume_3d_ago'] = df['volume'].shift(3)
    df['volume_5d_ago'] = df['volume'].shift(5)
    df['volume_1w_ago'] = df['volume'].shift(7)
    df['volume_2w_ago'] = df['volume'].shift(14)
    df['volume_3w_ago'] = df['volume'].shift(21)
    df['volume_4w_ago'] = df['volume'].shift(28)

    df['open_3d_avg'] = df['open'].rolling(window=3).mean()
    df['open_5d_avg'] = df['open'].rolling(window=5).mean()
    df['open_7d_avg'] = df['open'].rolling(window=7).mean()
    df['open_10d_avg'] = df['open'].rolling(window=10).mean()
    df['open_15d_avg'] = df['open'].rolling(window=15).mean()
    df['open_30d_avg'] = df['open'].rolling(window=30).mean()

    df['high_3d_avg'] = df['high'].rolling(window=3).mean()
    df['high_5d_avg'] = df['high'].rolling(window=5).mean()
    df['high_7d_avg'] = df['high'].rolling(window=7).mean()
    df['high_10d_avg'] = df['high'].rolling(window=10).mean()
    df['high_15d_avg'] = df['high'].rolling(window=15).mean()
    df['high_30d_avg'] = df['high'].rolling(window=30).mean()

    df['low_3d_avg'] = df['low'].rolling(window=3).mean()
    df['low_5d_avg'] = df['low'].rolling(window=5).mean()
    df['low_7d_avg'] = df['low'].rolling(window=7).mean()
    df['low_10d_avg'] = df['low'].rolling(window=10).mean()
    df['low_15d_avg'] = df['low'].rolling(window=15).mean()
    df['low_30d_avg'] = df['low'].rolling(window=30).mean()

    df['volume_3d_avg'] = df['volume'].rolling(window=3).mean()
    df['volume_5d_avg'] = df['volume'].rolling(window=5).mean()
    df['volume_7d_avg'] = df['volume'].rolling(window=7).mean()
    df['volume_10d_avg'] = df['volume'].rolling(window=10).mean()
    df['volume_15d_avg'] = df['volume'].rolling(window=15).mean()
    df['volume_30d_avg'] = df['volume'].rolling(window=30).mean()

    df['adj_close_3d_avg'] = df['adj close'].rolling(window=3).mean()
    df['adj_close_5d_avg'] = df['adj close'].rolling(window=5).mean()
    df['adj_close_7d_avg'] = df['adj close'].rolling(window=7).mean()
    df['adj_close_10d_avg'] = df['adj close'].rolling(window=10).mean()
    df['adj_close_15d_avg'] = df['adj close'].rolling(window=15).mean()
    df['adj_close_30d_avg'] = df['adj close'].rolling(window=30).mean()
    
    return df


df_all = pd.read_parquet(out_loc+"stock_1d.parquet")
df_all.columns = df_all.columns.str.lower()


### keep stocks in data with min year 2013, max year 2023
stock_min_dt = pd.DataFrame(df_all.groupby('symbol')['date'].min()).reset_index().rename(columns={'date':'min_date'})
stock_max_dt = pd.DataFrame(df_all.groupby('symbol')['date'].max()).reset_index().rename(columns={'date':'max_date'})
stock_cnt_dt = pd.DataFrame(df_all.groupby('symbol')['date'].count()).reset_index().rename(columns={'date':'days_cnt'})

stock_cnt = stock_min_dt.merge(stock_max_dt,on='symbol').merge(stock_cnt_dt,on='symbol')
stock_cnt['min_year'] = stock_cnt['min_date'].dt.year
stock_cnt['max_year'] = stock_cnt['max_date'].dt.year

keep_stocks = stock_cnt[(stock_cnt['min_year']==2013)&(stock_cnt['max_year']==2023)&(stock_cnt['days_cnt']>=2500)]['symbol'].unique().tolist()

stock_cnt.head()


df_2023 = df_all[(df_all.date.dt.year==2023) & (df_all.symbol.isin(keep_stocks))]
# volume vs stocks
volume_2023 = pd.DataFrame(df_2023.groupby(['symbol','security','gics sector'])['volume'].sum()).reset_index()
volume_2023 = volume_2023.sort_values(by='volume',ascending=False).reset_index(drop=True)
volume_2023.head()


# volume vs sectors
sector_2023 = pd.DataFrame(df_2023.groupby(['gics sector'])['volume'].sum()).reset_index()
sector_2023 = sector_2023.sort_values(by='volume',ascending=False).reset_index(drop=True)
sector_2023


# filter top 5 sectors with highest volume in 2023
sector_list = sector_2023[:5]['gics sector'].tolist()

stock_list = []

num_stocks = 5
# stocks with highest volume in each sector
for sec in sector_list:
    stock_list.append(volume_2023[volume_2023['gics sector']==sec]['symbol'][:num_stocks].tolist())
    
    
stock_list = [item for sublist in stock_list for item in sublist]

len(stock_list)

25


df_stocks = df_all[df_all['symbol'].isin(stock_list)].reset_index(drop=True)
df_stocks.head()


stock_compare = []

for stock in stock_list:
        stock_data = df_stocks[df_stocks['symbol'] == stock]
        stock_data = preprocess_data(stock_data)
        stock_data = stock_data.dropna().reset_index(drop=True)
        
                # Split the DataFrame into training and testing sets
        train_df_temp = stock_data[stock_data.date.dt.year<2020]
        test_df_temp = stock_data[stock_data.date.dt.year>=2020]

        drop_cols1 = ['date','open','high','low','close','adj close','volume','symbol','security',
         'gics sector','gics sub-industry','headquarters location','date added','cik','founded']

        train_df_temp = train_df_temp.drop(drop_cols1, 1)

        test_df_temp  = test_df_temp.drop(drop_cols1, 1)

        # target column is next day's close price
        y_train_temp = train_df_temp['close_1d_next'].copy()
        X_train_temp = train_df_temp.drop(['close_1d_next'], 1)

        # target column is next day's close price
        y_test_temp  = test_df_temp['close_1d_next'].copy()
        X_test_temp  = test_df_temp.drop(['close_1d_next'], 1)
#        print(stock, len(X_train), len(X_test), len(y_train), len(y_test))
        temp_model, temp_pred, temp_score = train_ridge_regression(X_train_temp,X_test_temp,y_train_temp,y_test_temp)
        
        score_df = pd.DataFrame([temp_score.keys(),temp_score.values()])
        score_df.columns = score_df.iloc[0]
        score_df = score_df[1:].reset_index(drop=True)
        score_df['symbol'] = stock
        
        stock_compare.append(score_df)
        
compare_df = pd.concat(stock_compare).sort_values(by='R2',ascending=False).reset_index(drop =True)


compare_df

	date	open	high	low	close	adj close	volume	symbol	security	gics sector	gics sub-industry	headquarters location	date added	cik	founded
0	2013-01-02	94.190002	94.790001	93.959999	94.779999	67.895119	3206700.0	MMM	3M	Industrials	Industrial Conglomerates	Saint Paul, Minnesota	1957-03-04	66740	1902
1	2013-01-03	94.339996	94.930000	94.129997	94.669998	67.816322	2704600.0	MMM	3M	Industrials	Industrial Conglomerates	Saint Paul, Minnesota	1957-03-04	66740	1902
2	2013-01-04	94.790001	95.480003	94.540001	95.370003	68.317757	2704900.0	MMM	3M	Industrials	Industrial Conglomerates	Saint Paul, Minnesota	1957-03-04	66740	1902
3	2013-01-07	95.019997	95.730003	94.760002	95.489998	68.403717	2745800.0	MMM	3M	Industrials	Industrial Conglomerates	Saint Paul, Minnesota	1957-03-04	66740	1902
4	2013-01-08	95.169998	95.750000	95.099998	95.500000	68.410889	2655500.0	MMM	3M	Industrials	Industrial Conglomerates	Saint Paul, Minnesota	1957-03-04	66740	1902

	date	close	ema_9	sma_5	sma_10	sma_15	sma_30	rsi	mfi
852843	2013-01-02	26.670000	NaN	NaN	NaN	NaN	NaN	NaN	0.000000
852844	2013-01-03	26.639999	26.670000	NaN	NaN	NaN	NaN	NaN	33.904295
852845	2013-01-04	26.740000	26.654210	NaN	NaN	NaN	NaN	NaN	48.695375
852846	2013-01-07	26.660000	26.685867	NaN	NaN	NaN	NaN	NaN	39.919745
852847	2013-01-08	26.680000	26.678345	NaN	NaN	NaN	NaN	NaN	55.233142
...	...	...	...	...	...	...	...	...	...
855571	2023-11-02	67.970001	65.538988	65.934001	65.321001	64.406001	65.993000	60.257764	89.207420
855572	2023-11-03	68.820000	65.782090	66.398001	65.697001	64.868001	65.901667	63.726091	89.458580
855573	2023-11-06	68.239998	66.085881	67.160001	66.169001	65.354001	65.848000	59.885606	83.710782
855574	2023-11-07	68.489998	66.301292	67.612000	66.594001	65.728667	65.799000	60.977252	75.937617
855575	2023-11-08	69.019997	66.520163	68.067999	66.888000	66.058667	65.729667	63.259914	75.566164

	macd	macd_signal
852876	-0.147786	-0.050945
852877	-0.175230	-0.078792
852878	-0.198438	-0.104970
852879	-0.235462	-0.132994
852880	-0.226841	-0.152855

	date	close	close_1d_next
852843	2013-01-02	26.670000	26.639999
852844	2013-01-03	26.639999	26.740000
852845	2013-01-04	26.740000	26.660000
852846	2013-01-07	26.660000	26.680000
852847	2013-01-08	26.680000	27.049999

	date	open	high	low	close	adj close	volume	symbol	security	gics sector	gics sub-industry	headquarters location	date added	cik	founded	ema_9	sma_5	sma_10	sma_15	sma_30	rsi	mfi	macd	macd_signal	close_1d_next	close_1d_ago	close_3d_ago	close_5d_ago	close_1w_ago	close_2w_ago	close_3w_ago	close_4w_ago	adj_close_1d_ago	adj_close_3d_ago	adj_close_5d_ago	adj_close_1w_ago	adj_close_2w_ago	adj_close_3w_ago	adj_close_4w_ago	open_1d_ago	open_3d_ago	open_5d_ago	open_1w_ago	open_2w_ago	open_3w_ago	open_4w_ago	high_1d_ago	high_3d_ago	high_5d_ago	high_1w_ago	high_2w_ago	high_3w_ago	high_4w_ago	low_1d_ago	low_3d_ago	low_5d_ago	low_1w_ago	low_2w_ago	low_3w_ago	low_4w_ago	volume_1d_ago	volume_3d_ago	volume_5d_ago	volume_1w_ago	volume_2w_ago	volume_3w_ago	volume_4w_ago	open_3d_avg	open_5d_avg	open_7d_avg	open_10d_avg	open_15d_avg	open_30d_avg	high_3d_avg	high_5d_avg	high_7d_avg	high_10d_avg	high_15d_avg	high_30d_avg	low_3d_avg	low_5d_avg	low_7d_avg	low_10d_avg	low_15d_avg	low_30d_avg	volume_3d_avg	volume_5d_avg	volume_7d_avg	volume_10d_avg	volume_15d_avg	volume_30d_avg	adj_close_3d_avg	adj_close_5d_avg	adj_close_7d_avg	adj_close_10d_avg	adj_close_15d_avg	adj_close_30d_avg
0	2013-02-20	27.070000	27.150000	26.950001	27.030001	21.735399	17057200.0	MDLZ	Mondelez International	Consumer Staples	Packaged Foods & Meats	Chicago, Illinois	2012-10-02	1103982	2012	27.499536	27.136	27.518	27.642000	27.589000	41.633625	53.176274	-0.147786	-0.050945	26.820000	26.959999	26.570000	27.680000	27.76	27.730000	28.080000	27.049999	21.679117	21.365499	22.258080	22.322405	22.298285	22.579723	21.751484	26.750000	26.690001	27.700001	27.799999	27.830000	27.969999	26.790001	27.190001	27.020000	27.830000	28.100000	27.980000	28.100000	27.080000	26.750000	26.450001	27.270000	27.750000	27.67	27.820000	26.68	18297500.0	37728900.0	14931000.0	11159200.0	5800400.0	15906900.0	11671400.0	26.886667	27.018	27.217143	27.386	27.553333	27.536667	27.136667	27.248000	27.410000	27.618	27.779333	27.754667	26.766667	26.842	27.015714	27.224	27.411333	27.382333	1.904973e+07	21756140.0	1.907480e+07	17005580.0	1.419575e+07	1.352419e+07	21.633545	21.716101	21.878994	22.053831	22.184635	22.194819
1	2013-02-21	26.990000	27.049999	26.639999	26.820000	21.566534	16936600.0	MDLZ	Mondelez International	Consumer Staples	Packaged Foods & Meats	Chicago, Illinois	2012-10-02	1103982	2012	27.451239	27.006	27.426	27.588667	27.601333	38.257648	47.431888	-0.175230	-0.078792	26.770000	27.030001	26.719999	27.750000	27.75	27.790001	27.559999	27.309999	21.735399	21.486118	22.314371	22.314371	22.346525	22.161583	21.960548	27.070000	26.840000	27.740000	27.730000	27.650000	27.730000	27.129999	27.150000	27.070000	27.809999	27.799999	27.950001	28.040001	27.340000	26.950001	26.600000	27.459999	27.629999	27.65	27.299999	27.09	17057200.0	21794500.0	13902600.0	9811900.0	7541300.0	18213200.0	16348500.0	26.936666	26.868	27.111429	27.295	27.497333	27.552333	27.130000	27.096000	27.302857	27.510	27.717333	27.759000	26.780000	26.678	26.874286	27.108	27.342667	27.388333	1.743043e+07	22362940.0	2.009261e+07	17608410.0	1.493817e+07	1.361005e+07	21.660350	21.566534	21.772160	21.958945	22.135851	22.198572
2	2013-02-22	26.889999	27.129999	26.730000	26.770000	21.526327	16664800.0	MDLZ	Mondelez International	Consumer Staples	Packaged Foods & Meats	Chicago, Illinois	2012-10-02	1103982	2012	27.386494	26.820	27.308	27.528000	27.606000	37.478423	48.958416	-0.198438	-0.104970	26.490000	26.820000	26.959999	26.570000	27.68	28.219999	27.790001	27.420000	21.566534	21.679117	21.365499	22.258080	22.692308	22.346525	22.049007	26.990000	26.750000	26.690001	27.700001	28.000000	27.500000	27.350000	27.049999	27.190001	27.020000	27.830000	28.320000	27.889999	27.540001	26.639999	26.750000	26.450001	27.270000	27.93	27.350000	27.25	16936600.0	18297500.0	37728900.0	14931000.0	9623100.0	15212300.0	10162600.0	26.983333	26.908	26.995714	27.220	27.446667	27.555667	27.109999	27.118000	27.202857	27.415	27.662666	27.760667	26.773333	26.734	26.797143	27.023	27.281333	27.390000	1.688620e+07	18150120.0	2.034030e+07	17828420.0	1.554640e+07	1.377650e+07	21.609420	21.598699	21.667624	21.856822	22.081171	22.191067
3	2013-02-25	26.790001	27.080000	26.480000	26.490000	21.301172	15527100.0	MDLZ	Mondelez International	Consumer Staples	Packaged Foods & Meats	Chicago, Illinois	2012-10-02	1103982	2012	27.323424	26.860	27.181	27.460000	27.596667	33.378362	47.675126	-0.235462	-0.132994	26.950001	26.770000	27.030001	26.719999	27.75	27.879999	27.830000	27.480000	21.526327	21.735399	21.486118	22.314371	22.418896	22.378695	22.097254	26.889999	27.070000	26.840000	27.740000	28.010000	27.930000	27.459999	27.129999	27.150000	27.070000	27.809999	28.150000	28.030001	27.520000	26.730000	26.950001	26.600000	27.459999	27.83	27.639999	27.17	16664800.0	17057200.0	21794500.0	13902600.0	8954300.0	14444500.0	8688200.0	26.890000	26.898	26.860000	27.119	27.366000	27.544333	27.086666	27.120000	27.098571	27.313	27.580000	27.752000	26.616666	26.710	26.657143	26.896	27.184667	27.369667	1.637617e+07	16896640.0	2.057237e+07	18265210.0	1.594000e+07	1.374912e+07	21.464678	21.561710	21.522881	21.754699	21.988429	22.169087
4	2013-02-26	26.530001	26.980000	26.510000	26.950001	21.671074	13702900.0	MDLZ	Mondelez International	Consumer Staples	Packaged Foods & Meats	Chicago, Illinois	2012-10-02	1103982	2012	27.238357	26.814	27.054	27.344667	27.569333	44.181951	48.178912	-0.226841	-0.152855	27.570000	26.490000	26.820000	26.959999	26.57	27.950001	27.780001	27.709999	21.301172	21.566534	21.679117	21.365499	22.475189	22.338484	22.282200	26.790001	26.990000	26.750000	26.690001	27.950001	27.830000	27.580000	27.080000	27.049999	27.190001	27.020000	28.110001	27.889999	27.740000	26.480000	26.639999	26.750000	26.450001	27.85	27.690001	27.34	15527100.0	16936600.0	18297500.0	37728900.0	10961400.0	12066800.0	9863200.0	26.736667	26.854	26.837143	26.999	27.267333	27.517000	27.063333	27.077999	27.092857	27.231	27.502000	27.733333	26.573333	26.662	26.665714	26.784	27.096667	27.345000	1.529827e+07	15977720.0	1.714009e+07	18654310.0	1.625657e+07	1.386713e+07	21.499524	21.560101	21.566535	21.690369	21.938574	22.156490

Introduction¶

Import Libraries¶

Functions¶

Read Data¶

Select Stock¶

1. Feature engineering¶

1.a. Financial indicators¶

1.b. Shift Close price in order to predict next day¶

1.c. Add lag features¶

1.d. Remove missing records after feature engineering¶

1.e. Split Data into Train ( before Covid ) and Test ( after Covid )¶

2. Train multiple regression models¶

3. Linear Regression Model¶

3.a Linear Regression Model with All Features¶

3.b. Linear Regression Model with top 20 Features¶

3.c Linear Regression Model with top 15 Features¶

3.d. Linear Regression Model with top 10 Features¶

4. Ridge Regression Parameter Fine Tuning¶

4.a. Ridge Regression with All Features¶

4.b. Ridge Regression with top 20 Features¶

5. Lasso Regression Model Parameter Fine Tuning¶

5.a Lasso Regression with All Features¶

5.b Lasso Regression with Top 20 Features¶

6. Elastic Net Regression Model Parameter Fine Tuning¶

6.a. Elastic Net with All Features¶

6.b. Elastic Net with Top 20 Features¶

7. Model Comparison¶

7.a Final Best Model¶

8. Train Multiple Different Stocks with Ridge Regression Model¶

	Model	Mean Squared Error	Mean Absolute Error	R2 Score	Training Time (s)
0	Ridge Regression	0.749019	0.601173	0.981691	0.005195
1	Linear Regression	0.767788	0.612101	0.981232	0.013318
2	Lasso Regression	1.101427	0.785124	0.973077	0.092810
3	Elastic Net	1.12101	0.749384	0.972598	0.098538
4	Gradient Boosting	88.690089	7.57935	-1.167937	2.154962
5	AdaBoost	91.071163	7.715902	-1.226139	0.682553
6	Random Forest	93.276696	7.841589	-1.280051	3.758919
11	CatBoost	94.177261	7.912422	-1.302065	3.500850
7	Decision Tree	95.967771	8.005216	-1.345832	0.068659
8	XGBoost	103.064918	8.379896	-1.519314	0.464069
9	K-Neighbors Regressor	330.959365	16.750109	-7.089956	0.000567
10	SVR	349.436131	17.668843	-7.541601	0.134333

	date	y_test	lr_pred_base
1729	2020-01-02	54.240002	54.234807
1730	2020-01-03	54.150002	54.462575
1731	2020-01-06	53.919998	54.392052
1732	2020-01-07	54.049999	53.866825
1733	2020-01-08	54.189999	54.141524

	Feature	Importance
0	adj_close_5d_avg	34.506178
1	sma_5	25.998560
2	ema_9	21.885541
3	adj_close_1d_ago	9.666451
4	adj_close_15d_avg	8.627124
5	close_5d_ago	8.502948
6	close_1d_ago	7.337071
7	adj_close_3d_avg	7.122290
8	low_5d_avg	5.716135
9	low_10d_avg	5.542512
10	open_5d_avg	5.011481
11	adj_close_5d_ago	4.463160
12	adj_close_7d_avg	4.352698
13	adj_close_1w_ago	4.039827
14	adj_close_3d_ago	3.904271

	Feature	Importance
0	adj_close_5d_avg	38.854308
1	sma_5	27.484310
2	adj_close_1d_ago	23.775534
3	close_1d_ago	19.321375
4	close_5d_ago	15.098392
5	adj_close_5d_ago	11.704156
6	adj_close_15d_avg	4.158538
7	adj_close_1w_ago	3.070985
8	sma_15	2.762572
9	close_1w_ago	2.757137
10	low_5d_avg	2.447157
11	open_5d_avg	1.692342
12	low_10d_avg	1.600124
13	high_5d_avg	1.304435
14	open_10d_avg	1.301215
15	adj_close_3d_ago	1.169397
16	ema_9	0.882495
17	adj_close_30d_avg	0.311786
18	adj_close_7d_avg	0.285091
19	adj_close_3d_avg	0.276478

	Feature	Importance
0	adj_close_5d_avg	36.266693
1	sma_5	26.803574
2	adj_close_1d_ago	22.806743
3	close_1d_ago	18.534424
4	close_5d_ago	14.111041
5	adj_close_5d_ago	10.688623
6	adj_close_3d_ago	1.161695
7	low_5d_avg	0.833075
8	ema_9	0.494789
9	adj_close_15d_avg	0.421462
10	adj_close_7d_avg	0.379717
11	low_10d_avg	0.299484
12	adj_close_1w_ago	0.296130
13	adj_close_3d_avg	0.259609
14	open_5d_avg	0.252947

	Feature	Importance
0	adj_close_1d_ago	31.773423
1	adj_close_5d_avg	30.972946
2	close_1d_ago	25.880350
3	sma_5	25.688939
4	close_5d_ago	5.203279
5	adj_close_3d_avg	2.188661
6	adj_close_15d_avg	1.072305
7	ema_9	0.829016
8	low_5d_avg	0.412671
9	low_10d_avg	0.181438

	Feature	Importance
0	adj_close_5d_avg	29.209670
1	sma_5	23.327076
2	ema_9	20.052079
3	adj_close_1d_ago	8.608975
4	close_5d_ago	7.815929
5	adj_close_15d_avg	6.758087
6	close_1d_ago	6.383786
7	adj_close_3d_avg	6.095190
8	low_10d_avg	5.185958
9	high_5d_avg	4.577397
10	low_5d_avg	4.530334
11	adj_close_5d_ago	4.444782
12	open_5d_avg	4.252683
13	sma_10	4.082776
14	adj_close_30d_avg	3.729390
15	macd	3.581098
16	sma_15	3.507948
17	high_7d_avg	3.355806
18	open_10d_avg	3.126070
19	high_15d_avg	3.066558

	Feature	Importance
0	adj_close_5d_avg	34.865155
1	sma_5	26.561371
2	adj_close_1d_ago	23.306249
3	close_1d_ago	19.054534
4	close_5d_ago	13.719602
5	adj_close_5d_ago	9.989549
6	adj_close_15d_avg	2.405561
7	low_5d_avg	2.326657
8	sma_15	1.820856
9	low_10d_avg	1.635199
10	open_5d_avg	1.424137
11	adj_close_3d_avg	1.268768
12	sma_10	1.218959
13	high_5d_avg	1.016692
14	open_10d_avg	0.924125
15	ema_9	0.564495
16	high_7d_avg	0.189963
17	adj_close_30d_avg	0.186579
18	high_15d_avg	0.086638
19	macd	0.004499

	Feature	Importance
0	ema_9	4.871884
1	macd	1.751569
2	macd_signal	1.345834
3	close_3d_ago	0.958941
4	open_15d_avg	0.639682
5	rsi	0.562192
6	sma_15	0.495187
7	low_1d_ago	0.416806
8	open_2w_ago	0.305712
9	adj_close_3d_avg	0.290374
10	sma_30	0.269198
11	high_2w_ago	0.211690
12	low_3w_ago	0.159687
13	open_30d_avg	0.154355
14	volume_5d_avg	0.096779
15	close_2w_ago	0.090966
16	high_30d_avg	0.082343
17	low_30d_avg	0.076811
18	open_3w_ago	0.065410
19	open_5d_ago	0.064327

	Feature	Importance
0	ema_9	4.359165
1	macd	1.683244
2	open_15d_avg	1.543022
3	macd_signal	1.304271
4	close_3d_ago	0.919101
5	open_2w_ago	0.588218
6	rsi	0.538464
7	sma_30	0.471702
8	low_1d_ago	0.460356
9	adj_close_3d_avg	0.362687
10	low_3w_ago	0.172657
11	high_2w_ago	0.107719
12	volume_5d_avg	0.023766
13	close_2w_ago	0.012261
14	open_3w_ago	0.008425
15	sma_15	0.000000
16	open_30d_avg	0.000000
17	high_30d_avg	0.000000
18	low_30d_avg	0.000000
19	open_5d_ago	0.000000

	rsi	mfi
rsi	1.000000	0.698958
mfi	0.698958	1.000000

	date	y_test	lr_pred_base	lr_pred20	lr_pred15	lr_pred10	ridge_pred_base	ridge_pred20	lasso_pred_base
1729	2020-01-02	54.240002	54.234807	54.271747	54.203303	53.928125	54.233949	54.297031	54.481490
1730	2020-01-03	54.150002	54.462575	54.607093	54.564688	54.251539	54.459871	54.574923	54.207026
1731	2020-01-06	53.919998	54.392052	54.587532	54.570543	54.299935	54.363214	54.606500	53.919954
1732	2020-01-07	54.049999	53.866825	53.925943	53.969683	54.039427	53.879662	53.954122	53.833212
1733	2020-01-08	54.189999	54.141524	53.925500	53.970832	54.149424	54.173588	54.033765	53.915187

	date	y_test	lr_pred_base	lr_pred20	lr_pred15	lr_pred10	ridge_pred_base	ridge_pred20	lasso_pred_base	lasso_pred20
1729	2020-01-02	54.240002	54.234807	54.271747	54.203303	53.928125	54.233949	54.297031	54.481490	54.540274
1730	2020-01-03	54.150002	54.462575	54.607093	54.564688	54.251539	54.459871	54.574923	54.207026	54.313239
1731	2020-01-06	53.919998	54.392052	54.587532	54.570543	54.299935	54.363214	54.606500	53.919954	53.991448
1732	2020-01-07	54.049999	53.866825	53.925943	53.969683	54.039427	53.879662	53.954122	53.833212	53.885031
1733	2020-01-08	54.189999	54.141524	53.925500	53.970832	54.149424	54.173588	54.033765	53.915187	53.943523

	date	y_test	lr_pred_base	lr_pred20	lr_pred15	lr_pred10	ridge_pred_base	ridge_pred20	lasso_pred_base	lasso_pred20	elastic_pred_base
1729	2020-01-02	54.240002	54.234807	54.271747	54.203303	53.928125	54.233949	54.297031	54.481490	54.540274	54.475621
1730	2020-01-03	54.150002	54.462575	54.607093	54.564688	54.251539	54.459871	54.574923	54.207026	54.313239	54.203798
1731	2020-01-06	53.919998	54.392052	54.587532	54.570543	54.299935	54.363214	54.606500	53.919954	53.991448	53.919188
1732	2020-01-07	54.049999	53.866825	53.925943	53.969683	54.039427	53.879662	53.954122	53.833212	53.885031	53.834623
1733	2020-01-08	54.189999	54.141524	53.925500	53.970832	54.149424	54.173588	54.033765	53.915187	53.943523	53.922324

	Feature	Importance
0	ema_9	4.372681
1	macd	1.808266
2	macd_signal	1.391821
3	close_3d_ago	0.961167
4	sma_15	0.856338
5	open_15d_avg	0.654922
6	rsi	0.556937
7	low_1d_ago	0.425022
8	sma_30	0.335015
9	open_2w_ago	0.294117
10	adj_close_3d_avg	0.290065
11	high_2w_ago	0.224628
12	open_30d_avg	0.213522
13	low_3w_ago	0.172645
14	volume_5d_avg	0.103550
15	open_5d_ago	0.087747
16	high_30d_avg	0.086648
17	low_30d_avg	0.083314
18	open_3w_ago	0.076077
19	close_2w_ago	0.072879

	Feature	Importance
0	ema_9	3.674293
1	macd	1.750184
2	sma_15	1.705084
3	macd_signal	1.361563
4	close_3d_ago	0.845265
5	sma_30	0.726128
6	rsi	0.539805
7	low_1d_ago	0.501059
8	open_2w_ago	0.363514
9	open_15d_avg	0.326419
10	adj_close_3d_avg	0.309635
11	high_2w_ago	0.291731
12	low_3w_ago	0.195555
13	volume_5d_avg	0.026565
14	low_30d_avg	0.000549
15	open_30d_avg	0.000468
16	open_5d_ago	0.000000
17	high_30d_avg	0.000000
18	open_3w_ago	0.000000
19	close_2w_ago	0.000000

	MSE	RMSE	MAE	R2	Model
0	0.76015	0.871866	0.60886	0.981419	Ridge with All Features
1	0.764312	0.874249	0.608256	0.981317	Linear Reg. with Top 15 Features
2	0.767788	0.876235	0.612101	0.981232	Linear Reg. with All Features
3	0.771305	0.87824	0.60942	0.981146	Ridge with Top 20 Features
4	0.777146	0.881559	0.610959	0.981003	Linear Reg. with Top 20 Features
5	0.843116	0.918214	0.633746	0.979391	Linear Reg. with Top 10 Features
6	0.928855	0.963771	0.659537	0.977295	Elastic_Net with All Features
7	0.935026	0.966967	0.661521	0.977144	Lasso with All Features
8	0.949732	0.974542	0.666845	0.976785	Lasso with Top 20 Features
9	0.959534	0.979558	0.667449	0.976545	Elastic_Net with Top 20 Features

	symbol	min_date	max_date	days_cnt	min_year	max_year
0	A	2013-01-02	2023-11-08	2733	2013	2023
1	AAL	2013-01-02	2023-11-08	2733	2013	2023
2	AAPL	2013-01-02	2023-11-08	2733	2013	2023
3	ABBV	2013-01-02	2023-11-08	2733	2013	2023
4	ABNB	2020-12-10	2023-11-08	733	2020	2023

	symbol	security	gics sector	volume
0	TSLA	Tesla, Inc.	Consumer Discretionary	3.009291e+10
1	AMD	AMD	Information Technology	1.342035e+10
2	AMZN	Amazon	Consumer Discretionary	1.305160e+10
3	AAPL	Apple Inc.	Information Technology	1.303964e+10
4	F	Ford Motor Company	Consumer Discretionary	1.278319e+10

	gics sector	volume
0	Consumer Discretionary	9.171407e+10
1	Information Technology	8.888840e+10
2	Financials	6.728113e+10
3	Communication Services	5.267892e+10
4	Health Care	3.755560e+10
5	Industrials	3.672492e+10
6	Energy	3.245171e+10
7	Consumer Staples	2.824873e+10
8	Utilities	2.214882e+10
9	Materials	1.432867e+10
10	Real Estate	1.318748e+10

	date	open	high	low	close	adj close	volume	symbol	security	gics sector	gics sub-industry	headquarters location	date added	cik	founded
0	2013-01-02	18.003504	18.193193	17.931683	18.099348	18.099348	101550348.0	GOOGL	Alphabet Inc. (Class A)	Communication Services	Interactive Media & Services	Mountain View, California	2014-04-03	1652044	1998
1	2013-01-03	18.141392	18.316566	18.036036	18.109859	18.109859	92635272.0	GOOGL	Alphabet Inc. (Class A)	Communication Services	Interactive Media & Services	Mountain View, California	2014-04-03	1652044	1998
2	2013-01-04	18.251753	18.555305	18.210211	18.467718	18.467718	110429460.0	GOOGL	Alphabet Inc. (Class A)	Communication Services	Interactive Media & Services	Mountain View, California	2014-04-03	1652044	1998
3	2013-01-07	18.404655	18.503002	18.282784	18.387136	18.387136	66161772.0	GOOGL	Alphabet Inc. (Class A)	Communication Services	Interactive Media & Services	Mountain View, California	2014-04-03	1652044	1998
4	2013-01-08	18.406906	18.425926	18.128880	18.350851	18.350851	66976956.0	GOOGL	Alphabet Inc. (Class A)	Communication Services	Interactive Media & Services	Mountain View, California	2014-04-03	1652044	1998

	MSE	RMSE	MAE	R2	symbol
0	56.919689	7.544514	5.112978	0.995061	NVDA
1	0.559182	0.747785	0.529467	0.993251	VZ
2	7.770865	2.787627	2.107652	0.992581	AAPL
3	5.039335	2.244846	1.670374	0.992108	GOOG
4	4.98575	2.232879	1.654225	0.992002	GOOGL
5	46.381058	6.810364	4.690443	0.990596	META
6	2.057386	1.434359	1.020137	0.990386	CVS
7	0.147953	0.384647	0.271314	0.990362	F
8	1.27562	1.129434	0.839937	0.98989	GM
9	28.055837	5.296776	3.992424	0.989314	MSFT
10	84.835254	9.210606	6.497099	0.988764	TSLA
11	0.575533	0.758639	0.55086	0.988709	PFE
12	0.581909	0.76283	0.577919	0.988411	BAC
13	0.26222	0.512075	0.377068	0.988041	KEY
14	1.80572	1.343771	0.958788	0.987257	INTC
15	0.991949	0.995966	0.734726	0.987031	WFC
16	11.147927	3.338851	2.469883	0.985621	AMZN
17	0.174755	0.418037	0.281833	0.983153	T
18	10.145635	3.185221	2.328928	0.982675	AMD
19	2.409729	1.55233	1.141577	0.981822	C
20	0.124353	0.352637	0.259468	0.979688	HBAN
21	0.870412	0.932958	0.684029	0.978487	BMY
22	2.087087	1.444675	1.154954	0.96863	CCL
23	4.398395	2.097235	1.52279	0.967914	JNJ
24	4.070663	2.017589	1.528408	0.589411	VTRS